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Game-Theoretic Model of Financial Markets with Two Risky Assets
Domansky, Victor - 2012
We consider multistage bidding models where two types of risky assets (shares) are traded between two agents that have different information on the liquidation prices of traded assets. These prices are random integer variables that are determined by the initial chance move according to a...
Persistent link: https://www.econbiz.de/10013104210
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An evolutionary finance model with a risk-free asset
Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten - 2017
Evolutionary Finance focuses on questions of "survival and extinction" of investment strategies (portfolio rules) in the market selection process. It analyzes stochastic dynamics of financial markets in which asset prices are determined endogenously by a short-run equilibrium between supply and...
Persistent link: https://www.econbiz.de/10011865449
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The Oligopoly Lucas Tree : Consumption Risk and Industry-Level Risk Exposure
Dou, Winston - 2020
declines, because peers care less about future cooperation. We decompose industries' exposure to consumption risk into two …
Persistent link: https://www.econbiz.de/10012833606
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Risk-taking and capital market equilibrium
Nielsen, Lars Tyge - 1985
Persistent link: https://www.econbiz.de/10000884964
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In honor of David Kreps, winner of the John Bates clark medal
Tirole, Jean - In: The journal of economic perspectives : EP ; a journal … 4 (1990) 3, pp. 149-170
Persistent link: https://www.econbiz.de/10001098199
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A class of nonzero-sum investment and reinsurance games subject to systematic risks
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; … - In: Scandinavian actuarial journal (2017) 8, pp. 670-707
Persistent link: https://www.econbiz.de/10011848596
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Information Aggregation Through Stock Prices and the Cost of Capital
Gorelkina, Olga - 2013
This paper studies a firm's optimal capital structure in an environment, where the firm's stock price serves as a public signal for its credit worthiness. In equilibrium, equity investors choose how much information to acquire privately, which induces a positive relation between the amount of...
Persistent link: https://www.econbiz.de/10013075104
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Asset Pricing under Optimal Contracts
Cvitanic, Jaksa - 2017
, the optimal contract rewards Agent for taking specific risk of individual assets in excess of the systematic risk of the …
Persistent link: https://www.econbiz.de/10012963460
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Implied Risk Aversion Smile
Didisheim, Antoine - 2020
introducing a new structural approach: deep replication. With this method, we extract the risk aversion of S&P500 options per … contract and per day. Cross-sectionally, we show the existence of a risk aversion smile reminiscent of the Black …-Scholes volatility smile. Across time, we measure a change following 2008, with put options exhibiting a higher average risk aversion …
Persistent link: https://www.econbiz.de/10012842211
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Investor Expectations, Earnings Management, and Asset Prices
Du, Kai - 2019
This paper examines the implications of investor expectations for the joint determination of earnings manipulation and asset prices. Three alternative models of investor expectations are studied: constant-gain learning, regime-shifting beliefs, and accounting-information-system (AIS) beliefs. I...
Persistent link: https://www.econbiz.de/10012902782